Böhm, Walter; Hornik, Kurt - In: Statistics & Probability Letters 87 (2014) C, pp. 27-30
We derive exact and asymptotic formulas for the probability that a symmetric n×n matrix with unit diagonal and upper diagonal elements i.i.d. uniform on (−1,1) is positive definite (and thus a “random correlation matrix”): this is almost never the case for n≥6.